Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Characteristics

Characteristic Latest Prior Month Two Months Ago
Rank (1 is Worst, 10 is Best) 3 4 4
Score -3.98 -2.68 -3.36
Market Cap (Millions USD) 354.2 372.81 379.3
Predicted Beta 0.92 0.94 0.96
Idiosyncratic Volatility 2.45 3.68 5.04

Annualized return and volatility

IYM
Annualized Return 0.0721
Annualized Std Dev 0.2573
Annualized Sharpe (Rf=0%) 0.2801

Row

Daily Return Statistics

IYM
Observations 4994.0000
NAs 120.0000
Minimum -0.1347
Quartile 1 -0.0069
Median 0.0003
Arithmetic Mean 0.0004
Geometric Mean 0.0003
Quartile 3 0.0082
Maximum 0.1294
SE Mean 0.0002
LCL Mean (0.95) 0.0000
UCL Mean (0.95) 0.0009
Variance 0.0003
Stdev 0.0162
Skewness -0.2959
Kurtosis 6.9845

Downside Risk

IYM
Semi Deviation 0.0118
Gain Deviation 0.0113
Loss Deviation 0.0126
Downside Deviation (MAR=210%) 0.0162
Downside Deviation (Rf=0%) 0.0116
Downside Deviation (0%) 0.0116
Maximum Drawdown 0.6778
Historical VaR (95%) -0.0246
Historical ES (95%) -0.0388
Modified VaR (95%) -0.0253
Modified ES (95%) -0.0461
From Trough To Depth Length To Trough Recovery
2008-06-19 2008-11-20 2013-12-24 -0.6778 1412 111 1301
2002-03-20 2002-10-09 2003-11-28 -0.3103 438 144 294
2014-09-19 2016-01-25 2016-12-07 -0.2987 569 346 223
2001-05-22 2001-09-21 2002-03-19 -0.2852 208 84 124
2018-01-29 2018-12-24 NA -0.2585 490 233 NA

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec IYM
1999 NA NA NA NA NA NA NA NA NA NA NA NA NA
2000 NA NA NA NA NA 0.0 0.0 -0.2 0.0 -1.4 4.0 0.0 2.4
2001 0.5 -1.1 0.0 -0.3 -0.4 0.0 -0.5 0.0 -2.1 2.0 0.0 0.0 -1.9
2002 -0.2 1.3 -1.0 0.7 0.0 -0.5 -0.1 0.0 6.0 2.5 0.0 0.0 8.9
2003 0.0 0.0 0.4 -0.8 0.0 0.0 -0.9 0.0 1.7 0.0 2.8 0.0 3.1
2004 0.0 1.4 0.4 0.0 0.2 -1.9 0.0 0.2 0.6 0.2 1.2 0.0 2.3
2005 0.9 -0.2 -0.1 0.0 1.8 0.0 -0.2 0.3 0.0 0.4 1.8 0.0 4.9
2006 0.3 1.3 0.0 1.2 1.3 0.0 -0.9 1.0 0.0 -1.1 -0.7 0.0 2.5
2007 0.9 -0.8 0.0 -0.7 1.3 0.0 -0.2 0.0 1.5 -3.4 0.0 0.0 -1.5
2008 2.6 0.0 2.0 -0.8 0.0 -1.0 -2.8 0.0 -2.0 0.0 -10.6 0.0 -12.6
2009 0.0 0.0 3.8 1.6 4.3 0.0 0.0 -2.8 -4.3 0.0 1.5 0.0 3.9
2010 4.6 2.1 1.9 0.0 -3.8 -0.6 0.0 3.4 1.5 0.2 2.7 0.0 12.5
2011 2.8 -2.0 0.2 0.0 -3.0 1.0 -0.1 -1.6 0.0 -3.0 -0.6 0.0 -6.3
2012 1.3 0.9 0.0 0.7 -2.0 0.0 -0.1 0.0 0.5 2.5 0.0 0.0 3.7
2013 1.3 -0.4 -1.4 -2.1 0.0 0.9 0.6 0.0 0.4 -0.1 0.0 0.0 -0.9
2014 0.0 0.0 0.7 -0.5 0.0 0.2 0.1 0.0 -2.5 0.0 -1.1 0.0 -3.0
2015 0.0 0.0 0.0 1.7 -0.1 0.2 0.0 -3.5 0.8 0.0 0.6 0.0 -0.4
2016 0.2 2.5 0.8 0.0 0.4 0.3 -0.3 0.4 0.0 -0.6 -0.1 0.0 3.6
2017 0.5 1.9 0.0 -0.1 1.2 0.0 0.3 0.6 0.0 0.8 -0.6 0.0 4.8
2018 -1.2 -0.6 0.0 -0.4 1.4 0.0 -1.1 0.0 0.9 3.1 0.0 0.0 1.9
2019 0.6 -0.2 1.6 -1.9 0.0 0.6 -1.0 0.0 -2.3 1.8 0.0 0.1 -0.8

Row

Rolling Performance Chart

Snail Trail Chart